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dc.contributor.author
Dolinsky, Yan
dc.date.accessioned
2020-09-28T09:48:03Z
dc.date.available
2017-06-09T08:41:36Z
dc.date.available
2020-09-28T09:48:03Z
dc.date.issued
2010
dc.identifier.uri
http://hdl.handle.net/20.500.11850/28162
dc.description.abstract
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type conditions. Error estimates for such type of approximations were not obtained before. Our main tool is the strong approximations theorems for i.i.d. random vectors which were obtained [14]. For the multidimensional Black--Scholes model our results can be extended also to a general path dependent payoffs which satisfy Lipschitz type conditions. For the case of multinomial approximations of American options for the Black--Scholes model our estimates are a significant improvement of those which were obtained in [8] (for game options in a more general setup).
en_US
dc.language.iso
en
en_US
dc.publisher
Cornell University
en_US
dc.title
Error Estimates for Multinomial Approximations of American Options in Merton's Model
en_US
dc.type
Working Paper
ethz.journal.title
arXiv
ethz.pages.start
1004.1575
en_US
ethz.size
12 p.
en_US
ethz.identifier.arxiv
1004.1575
ethz.publication.place
Ithaca, NY
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
ethz.relation.isPreviousVersionOf
20.500.11850/41751
ethz.date.deposited
2017-06-09T08:41:58Z
ethz.source
ECIT
ethz.identifier.importid
imp59364d84f322388406
ethz.ecitpid
pub:47202
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2017-07-17T09:31:27Z
ethz.rosetta.lastUpdated
2020-02-14T07:28:10Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
ethz.COinS
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